Subsampling

Subsampling can be used to reduce the size of the in-sample data used to grow a tree and therefore can greatly reduce computational load. Subsampling is implemented using options sampsize and samptype in rfsrc(). See rfsrc.fast() in the next subsection for a fast forest implementation using subsampling.

Fast approximate random forests using subsampling

Our function rfsrc.fast() adopts fast approximate random forests using subsampling that applies to all families.

library("randomForestSRC")
## load the Iowa housing data
data(housing, package = "randomForestSRC")

## do quick and *dirty* imputation
housing <- impute(SalePrice ~ ., housing,
         ntree = 50, nimpute = 1, splitrule = "random")

## grow a fast forest
obj <- rfsrc.fast(SalePrice ~ ., housing)
print(obj)

>                          Sample size: 2930
>                      Number of trees: 500
>            Forest terminal node size: 5
>        Average no. of terminal nodes: 83.776
> No. of variables tried at each split: 27
>               Total no. of variables: 80
>        Resampling used to grow trees: swor
>     Resample size used to grow trees: 398
>                             Analysis: RF-R
>                               Family: regr
>                       Splitting rule: mse *random*
>        Number of random split points: 10
>                      (OOB) R squared: 0.8761255
>                     (OOB) Error rate: 790552487

Reducing number of variables for big data set

We could adjust the parameters in functions to encourage computational speed.

## ------------------------------------------------------------
## big data set, reduce number of variables using simple method
## ------------------------------------------------------------
library("randomForestSRC")
## use Iowa housing data set
data(housing, package = "randomForestSRC")

## original data contains lots of missing data, use fast imputation
## however see impute for other methods
housing2 <- impute(data = housing, fast = TRUE)

## run shallow trees to find variables that split any tree
xvar.used <- rfsrc(SalePrice ~., housing2, ntree = 250, nodedepth = 4,
                   var.used="all.trees", mtry = Inf, nsplit = 100)$var.used

## now fit forest using filtered variables
xvar.keep  <- names(xvar.used)[xvar.used >= 1]
o <- rfsrc(SalePrice~., housing2[, c("SalePrice", xvar.keep)])
print(o)

>                          Sample size: 2930
>                      Number of trees: 500
>            Forest terminal node size: 5
>        Average no. of terminal nodes: 400.552
> No. of variables tried at each split: 16
>               Total no. of variables: 46
>        Resampling used to grow trees: swor
>     Resample size used to grow trees: 1852
>                             Analysis: RF-R
>                               Family: regr
>                       Splitting rule: mse *random*
>        Number of random split points: 10
>                      (OOB) R squared: 0.9038358
>                     (OOB) Error rate: 613708802

Randomized splitting rules

Computational speed can be significantly improved with randomized splitting invoked by the option nsplit. When nsplit is set to a non-zero positive integer, a maximum of nsplit split points are chosen randomly for each of the candidate splitting variables when splitting a tree node, thus significantly reducing the cost from having to consider all possible split-values. To revert to traditional deterministic splitting (all split values considered) use nsplit=0.

Randomized splitting for trees has a long history. See [1]. [2] recently introduced extremely randomized trees using what they call the extra-trees algorithm. We can see that this algorithm essentially corresponds to randomized splitting with nsplit=1. In our experience however this is not always the optimal value for nsplit and may often be too low.

Finally, for completely randomized (pure random) splitting use splitrule=“random.” In pure splitting, nodes are split by randomly selecting a variable and randomly selecting its split point [3].

Unique time points for survival analysis

Setting ntime to a reasonably small value such as 100 or 250 (the default) constrains survival ensemble calculations to a restricted grid of time points and significantly improves computational times.

Large number of variables

The default setting importance="none" turns off variable importance (VIMP) calculations and considerably reduces computational times. Variable importance can always be recovered later using functions vimp or predict. Also consider using max.subtree which calculates minimal depth, a measure of the depth that a variable splits, and yields fast variable selection [4].

Increasing nodesize

Another way to speed up things considerably is increasing nodesize. When users have very big data sets, you can actually get better performance with larger nodesize. The function tune.nodesize() can be used to set nodesize.

C-index calculation for big survival data sets

The C-index is computationally expensive and requires approximately \(O(n^2)\) calculations where \(n\) is the sample size. This makes it infeasible for large survival data sets. The solution is to turn of the C-calculation by turning off all performance requests when training the forest. This is accomplished using the option perf.type='none'. Thus a generic training call would look something like:

o <- rfsrc(Surv(my.time,my.cens)~.,my.data,perf.type="none")

It is also recommended to set nodesize to a reasonably large value. Also, assuming the user is interested in measuring performance of their model, consider using the Brier score which is very fast. This can be obtained using the function get.brier.survival:

See the vignette for Random Survival Forests for more details about the Brier score.

Save memory

Use option save.memory="TRUE" for big data competing risk and survival models. By default the package stores terminal node quantities to be used in prediction for test data but this can be memory intensive for big data.

Block size

Make sure block.size="NULL" (or set to number of trees) so that the cumulative error is calculated only once.



Cite this vignette as
H. Ishwaran, M. Lu, and U. B. Kogalur. 2021. “randomForestSRC: speedup random forest analyses vignette.” http://randomforestsrc.org/articles/speedup.html.

@misc{HemantSpeed,
    author = "Hemant Ishwaran and Min Lu and Udaya B. Kogalur",
    title = {{randomForestSRC}: speedup random forest analyses vignette},
    year = {2021},
    url = {http://randomforestsrc.org/articles/speedup.html}
}

References

1. Ishwaran H. The effect of splitting on random forests. Machine learning. 2015;99:75–118.
2. Geurts P, Ernst D, Wehenkel L. Extremely randomized trees. Machine learning. 2006;63:3–42.
3. Cutler A, Zhao G. Pert-perfect random tree ensembles. Computing Science and Statistics. 2001;33:490–7.
4. Ishwaran H, Kogalur UB, Gorodeski EZ, Minn AJ, Lauer MS. High-dimensional variable selection for survival data. Journal of the American Statistical Association. 2010;105:205–17.